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June 2015 Two-sample Bayesian Nonparametric Hypothesis Testing
Chris C. Holmes, François Caron, Jim E. Griffin, David A. Stephens
Bayesian Anal. 10(2): 297-320 (June 2015). DOI: 10.1214/14-BA914

Abstract

In this article we describe Bayesian nonparametric procedures for two-sample hypothesis testing. Namely, given two sets of samples y(1)~iidF(1) and y(2)~iidF(2), with F(1),F(2) unknown, we wish to evaluate the evidence for the null hypothesis H0:F(1)F(2) versus the alternative H1:F(1)F(2). Our method is based upon a nonparametric Pólya tree prior centered either subjectively or using an empirical procedure. We show that the Pólya tree prior leads to an analytic expression for the marginal likelihood under the two hypotheses and hence an explicit measure of the probability of the null Pr(H0|{y(1),y(2)})

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Chris C. Holmes. François Caron. Jim E. Griffin. David A. Stephens. "Two-sample Bayesian Nonparametric Hypothesis Testing." Bayesian Anal. 10 (2) 297 - 320, June 2015. https://doi.org/10.1214/14-BA914

Information

Published: June 2015
First available in Project Euclid: 2 February 2015

zbMATH: 1334.62082
MathSciNet: MR3420884
Digital Object Identifier: 10.1214/14-BA914

Rights: Copyright © 2015 International Society for Bayesian Analysis

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Vol.10 • No. 2 • June 2015
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